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~isPartOf:"Emerging markets, finance and trade : EMFT"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~person:"Ali, Faek Menla"
~person:"Aragó Manzana, Vicent"
~person:"Beljid, Makram"
~person:"Belkhouja, Mustapha"
~person:"Chen Zhou"
~person:"Conrad, Christian"
~person:"Gallo, Giampiero M."
~person:"Gupta, Rangan"
~person:"Nam, Kiseok"
~subject:"Markov chain"
~subject:"Share price"
~subject:"Time series analysis"
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Search: subject_exact:"ARCH model"
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Markov chain
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ARCH model
12
ARCH-Modell
12
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9
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9
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9
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9
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Ali, Faek Menla
Aragó Manzana, Vicent
Beljid, Makram
Belkhouja, Mustapha
Chen Zhou
Conrad, Christian
Gallo, Giampiero M.
Gupta, Rangan
Nam, Kiseok
Blazsek, Szabolcs
3
Bu, Ruijun
2
Dark, Jonathan
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Emerging markets, finance and trade : EMFT
Journal of empirical finance
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Department of Economics working paper series
9
Economic modelling
4
The North American journal of economics and finance : a journal of financial economics studies
4
Discussion paper series / University of Heidelberg, Department of Economics
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2
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International economics : a journal published by CEPII (Center for research and expertise on the world economy)
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NYU Stern School of Business
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The journal of behavioral finance : a publication of the Institute of Psychology and Markets and LEA
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ECONIS (ZBW)
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1
Are multifractal processes suited to forecasting electricity price volatility? : evidence from Australian intraday data
Segnon, Mawuli
;
Lau, Chi Keung
;
Wilfling, Bernd
;
Gupta, …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 73-98
Persistent link: https://www.econbiz.de/10013334628
Saved in:
2
Geopolitical risks, returns, and volatility in emerging stock markets : evidence from a panel GARCH model
Bouras, Christos
;
Christou, Christina
;
Gupta, Rangan
; …
- In:
Emerging markets, finance and trade : EMFT
55
(
2019
)
8
,
pp. 1841-1856
Persistent link: https://www.econbiz.de/10012210912
Saved in:
3
The decomposition of jump risks in individual stock returns
Xiao, Xiao
;
Chen Zhou
- In:
Journal of empirical finance
47
(
2018
),
pp. 207-228
Persistent link: https://www.econbiz.de/10012103499
Saved in:
4
Modelling stock volatilities during financial crises : a time varying coefficient approach
Karanasos, Menelaos
;
Paraskevopoulos, Alexandros G.
; …
- In:
Journal of empirical finance
29
(
2014
),
pp. 113-128
Persistent link: https://www.econbiz.de/10011300501
Saved in:
5
On the macroeconomic determinants of long-term volatilities and correlations in US stock and crude oil markets
Conrad, Christian
;
Stürmer, Karin
;
Rittler, Daniel
- In:
Journal of empirical finance
29
(
2014
),
pp. 26-40
Persistent link: https://www.econbiz.de/10011300507
Saved in:
6
Re-examining the risk-return relationship in Europe : linear or non-linear trade-off?
Salvador, Enrique
;
Floros, Christos
;
Aragó Manzana, Vicent
- In:
Journal of empirical finance
28
(
2014
),
pp. 60-77
Persistent link: https://www.econbiz.de/10011284508
Saved in:
7
Multivariate fractionally integrated APARCH modeling of stock market volatility : a multi-country study
Conrad, Christian
;
Karanasos, Menelaos
;
Zeng, Ning
- In:
Journal of empirical finance
18
(
2011
)
1
,
pp. 147-159
Persistent link: https://www.econbiz.de/10009301149
Saved in:
8
Volatility estimation via hidden Markov models
Rossi, Alessandro
;
Gallo, Giampiero M.
- In:
Journal of empirical finance
13
(
2006
)
2
,
pp. 203-230
Persistent link: https://www.econbiz.de/10003296949
Saved in:
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